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Language	Label	Description	Also known as
English	Recent advances in robust optimization: an overview	scientific article

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scholarly article

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Recent advances in robust optimization: an overview (English)

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Aurélie Thiele

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Virginie Gabrel

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European Journal of Operational Research

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publication date

19 February 2015

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zbMATH Keywords

robust optimization

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distributional robustness

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risk theory

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decision rules

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2013.09.036

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Dynamic pricing and inventory control: robust vs. stochastic uncertainty models---a computational study

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Min-max regret robust optimization approach on interval data uncertainty

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Scenario relaxation algorithm for finite scenario-based min-max regret and min-max relative regret robust optimization

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Two-Stage Robust Network Flow and Design Under Demand Uncertainty

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Explicit Reformulations for Robust Optimization Problems with General Uncertainty Sets

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Toward Robust Revenue Management: Competitive Analysis of Online Booking

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Tractable stochastic analysis in high dimensions via robust optimization

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Duality in robust optimization: Primal worst equals dual best

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A Soft Robust Model for Optimization Under Ambiguity

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Chance constrained uncertain classification via robust optimization

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Robust multi-echelon multi-period inventory control

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Deriving robust counterparts of nonlinear uncertain inequalities

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Selected topics in robust convex optimization

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Constructing Uncertainty Sets for Robust Linear Optimization

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Theory and Applications of Robust Optimization

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Robust and data-driven approaches to call centers

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Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

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Performance Analysis of Queueing Networks via Robust Optimization

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On the Power of Robust Solutions in Two-Stage Stochastic and Adaptive Optimization Problems

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A Geometric Characterization of the Power of Finite Adaptability in Multistage Stochastic and Adaptive Optimization

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Optimality of Affine Policies in Multistage Robust Optimization

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Robust optimization with simulated annealing

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Nonconvex Robust Optimization for Problems with Constraints

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Robust Optimization for Unconstrained Simulation-Based Problems

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Robust multiperiod portfolio management in the presence of transaction costs

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The Price of Robustness

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Computing robust basestock levels

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Locating a competitive facility in the plane with a robustness criterion

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Robust Management of Motion Uncertainty in Intensity-Modulated Radiation Therapy

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A multi-objective approach for robust airline scheduling

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Nominal and robust train timetabling problems

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Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection

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Robust portfolio selection for index tracking

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A Robust Optimization Perspective on Stochastic Programming

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Uncertain Linear Programs: Extended Affinely Adjustable Robust Counterparts

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On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. I: Theory

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On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. II: Applications

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Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

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Portfolio Selection with Robust Estimation

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Robust stochastic dominance and its application to risk-averse optimization

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A robust algorithm for semidefinite programming

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Robustness in stochastic programs with risk constraints

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Robust Optimization for Empty Repositioning Problems

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Robust portfolios: contributions from operations research and finance

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Robust risk management

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Light Robustness

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Robust location transportation problems under uncertain demands

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Robustness and duality in linear programming

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New models for the robust shortest path problem: complexity, resolution and generalization

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Linear programming with interval right hand sides

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Combinatorial and robust optimisation models and algorithms for railway applications

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A robust robust optimization result

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Robustness in multi-objective optimization using evolutionary algorithms

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Portfolio value-at-risk optimization for asymmetrically distributed asset returns

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Distributionally Robust Optimization and Its Tractable Approximations

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Robust Optimization Made Easy with ROME

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Technical Note—Deriving Robust and Globalized Robust Solutions of Uncertain Linear Programs with General Convex Uncertainty Sets

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Robust energy cost optimization of water distribution system with uncertain demand

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Robust optimization and portfolio selection: the cost of robustness

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Robust strategies for facility location under uncertainty

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Worst-case robust decisions for multi-period mean-variance portfolio optimization

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Robust scheduling and robustness measures for the discrete time/cost trade-off problem

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Belief-Free Equilibria in Games With Incomplete Information

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Tractable approximate robust geometric programming

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Robust decision making using a general utility set

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Robust portfolio selection with uncertain exit time using worst-case VaR strategy

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Portfolio selection under distributional uncertainty: a relative robust CVaR approach

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Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations

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Fairness and Efficiency in Multiportfolio Optimization

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Lexicographic \(\alpha \)-robustness: an alternative to min-max criteria

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Discounted Robust Stochastic Games and an Application to Queueing Control

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Short sales in log-robust portfolio management

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A log-robust optimization approach to portfolio management

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Robustness of efficient server assignment policies to service time distributions in finite-buffered lines

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Primal and dual linear decision rules in stochastic and robust optimization

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Min-max and robust polynomial optimization

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A successive SDP-NSDP approach to a robust optimization problem in finance

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The Concept of Recoverable Robustness, Linear Programming Recovery, and Railway Applications

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Robust portfolio modeling with incomplete cost information and project interdependencies

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Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals

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Interval uncertainty-based robust optimization for convex and non-convex quadratic programs with applications in network infrastructure planning

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Relative Entropy, Exponential Utility, and Robust Dynamic Pricing

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Automatic robust convex programming

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On robust maximum flow with polyhedral uncertainty sets

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Robust network optimization under polyhedral demand uncertainty is \(NP\)-hard

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On 2-stage robust LP with RHS uncertainty: complexity results and applications

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A robust mean absolute deviation model for portfolio optimization

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Robust solutions for network design under transportation cost and demand uncertainty

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Cutting-set methods for robust convex optimization with pessimizing oracles

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A relative total cost index for the evaluation of transportation network robustness in the presence of degradable links and alternative travel behavior

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Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization

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Constructing Risk Measures from Uncertainty Sets

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TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION

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On safe tractable approximations of chance constraints

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Semiconductor lot allocation using robust optimization

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Robust ranking and portfolio optimization

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Robust capacity expansion of network flows

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Robust supply chain design under uncertain demand in agile manufacturing

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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection

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Robust solutions and risk measures for a supply chain planning problem under uncertainty

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Robust Mean-Covariance Solutions for Stochastic Optimization

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Optimization under uncertainty of the integrated oil supply chain using stochastic and robust programming

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Robustness in operational research and decision aiding: a multi-faceted issue

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Robust Assortment Optimization in Revenue Management Under the Multinomial Logit Choice Model

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On the robustness of non-linear personalized price combinatorial auctions

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Robustness properties of mean-variance portfolios

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Robust Approximation to Multiperiod Inventory Management

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A dynamic programming approach to adjustable robust optimization

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A robust algorithm for generalized geometric programming

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A relaxation algorithm with a probabilistic guarantee for robust deviation optimization

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A comparison of stochastic programming and bi-objective optimisation approaches to robust airline crew scheduling

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A note on issues of over-conservatism in robust optimization with cost uncertainty

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Robust support vector machines for classification and computational issues

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A constraint sampling approach for multi-stage robust optimization

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Robust optimization of internal transports at a parcel sorting center operated by Deutsche Post world net

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Distributionally Robust Convex Optimization

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Robust Markov Decision Processes

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Robust Regression and Lasso

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A Distributional Interpretation of Robust Optimization

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Robust PCA via Outlier Pursuit

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Robust optimization models for project scheduling with resource availability cost

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Evacuation transportation planning under uncertainty: A robust optimization approach

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Robust portfolio optimization: a conic programming approach

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General robust-optimization formulation for nonlinear programming

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Two-stage minimax regret robust uncapacitated lot-sizing problems with demand uncertainty

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Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

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Distributionally robust joint chance constraints with second-order moment information

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Robust portfolio optimization with derivative insurance guarantees

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Identifiers

zbMATH Open document ID

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10.1016/j.ejor.2013.09.036

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Mathematics Subject Classification ID

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zbMATH DE Number

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DBLP publication ID

journals/eor/GabrelMT14

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Sitelinks

Mathematics(1 entry)

mardi Publication:2256312

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